NaughtyPines

OPENING: GLD SEPT 15TH/MARCH 16TH 117 PUT CALENDAR

AMEX:GLD   SPDR GOLD TRUST GOLD SHARES NPV
... for a 2.47 db (low implied volatility rank/low implied volatility ).

Metrics:

Buying Power Effect: $247/contract
Theta: .57
Delta: -15.07

Notes: Will look to take profit at 20% max/roll sides as price dictates.
Trade active: Short put has reached 50% max ... already. Rolling the Sept 15th 117 short put out to the Sept 22nd 117 short put for a realized gain of .24 ($24) and a credit of .09. Scratch at 2.38. Because the back month is so far out in time, I'm keeping a potential roll up of the short put toward current price "in my back pocket" for now.
Trade active: Rolling the Sept 22nd 117 short put intraexpiry to the Sept 22nd 119 short for a .15 ($15) realized gain and a credit of .35. Scratch point at 2.03. This also reduces the short delta in the diagonal a bit ... .
Trade active: Rolling the Sept 22nd 119 short put to the Oct 20th 119 short put for a realized gain and a .44 credit. Scratch point at 1.59.
Trade active: Price is ripping somewhat brutally away from the setup here with the short put aspect at 50% max. Ordinarily, I'd roll the short put up intraexpiry, but I'm going to wait here more toward expiry and/or short put near worthless so that I can potentially consider rolling the entire setup (both front and back) toward current price if this up move sticks. While the setup has plenty of time to work out, it's best if the long aspect stays relatively close to current price such that it retains a good chunk of its value; it's gone from around 40 delta to 21-ish here ... .
Trade active: Having lost >75% of its value, rolling the Oct 20th 119 short put to the Oct 20th 121 short put for a realized gain and a credit of .16 (delta balancing). Scratch point at 1.43.
Trade active: Kicking the can out to the Dec 29th expiry, the 118 strike, for a .29/contract credit, freeing up buying power to work shorter term stuff (scratch at 1.14).
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